A new approach for estimating VAR systems in the mixed-frequency case

In this paper we present a new estimation procedure named MF-IVL for VAR systems in the case of mixed-frequency data, where the data maybe, e.g., stock or flow data. The main idea of this new procedure is to project the slow components on the present and past fast ones in order to create instrumenta...

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Detalles Bibliográficos
Autores principales: Koelbl, Lukas, Deistler, Manfred
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2018
Materias:
Regular Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7319404/
https://www.ncbi.nlm.nih.gov/pubmed/32624645
http://dx.doi.org/10.1007/s00362-018-0985-1
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author Koelbl, Lukas
Deistler, Manfred
author_facet Koelbl, Lukas
Deistler, Manfred
author_sort Koelbl, Lukas
collection PubMed
description In this paper we present a new estimation procedure named MF-IVL for VAR systems in the case of mixed-frequency data, where the data maybe, e.g., stock or flow data. The main idea of this new procedure is to project the slow components on the present and past fast ones in order to create instrumental variables. This procedure is shown to be generically consistent. Our claim is that the procedure is fast and more accurate when compared to the extended Yule-Walker procedure. A comparison of these two procedures is given by simulation.
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spelling pubmed-73194042020-07-01 A new approach for estimating VAR systems in the mixed-frequency case Koelbl, Lukas Deistler, Manfred Stat Pap (Berl) Regular Article In this paper we present a new estimation procedure named MF-IVL for VAR systems in the case of mixed-frequency data, where the data maybe, e.g., stock or flow data. The main idea of this new procedure is to project the slow components on the present and past fast ones in order to create instrumental variables. This procedure is shown to be generically consistent. Our claim is that the procedure is fast and more accurate when compared to the extended Yule-Walker procedure. A comparison of these two procedures is given by simulation. Springer Berlin Heidelberg 2018-02-03 2020 /pmc/articles/PMC7319404/ /pubmed/32624645 http://dx.doi.org/10.1007/s00362-018-0985-1 Text en © The Author(s) 2018 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Regular Article
Koelbl, Lukas
Deistler, Manfred
A new approach for estimating VAR systems in the mixed-frequency case
title A new approach for estimating VAR systems in the mixed-frequency case
title_full A new approach for estimating VAR systems in the mixed-frequency case
title_fullStr A new approach for estimating VAR systems in the mixed-frequency case
title_full_unstemmed A new approach for estimating VAR systems in the mixed-frequency case
title_short A new approach for estimating VAR systems in the mixed-frequency case
title_sort new approach for estimating var systems in the mixed-frequency case
topic Regular Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7319404/
https://www.ncbi.nlm.nih.gov/pubmed/32624645
http://dx.doi.org/10.1007/s00362-018-0985-1
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